G14 - Information and Market Efficiency; Event Studies - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:37:23+00:00High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
https://www.bankofcanada.ca/2014/12/working-paper-2014-56/
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency.2014-12-12T11:10:12+00:00enHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market2014-12-12Financial marketsWorking Paper 2014-56https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-56.pdfHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury MarketGeorge JiangIngrid LoGiorgio ValenteDecember 2014GG1G10G12G14Exchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks
https://www.bankofcanada.ca/wp-content/uploads/2014/12/fsr-december14-foucher.pdf
Ian Foucher and Kyle Gray explain the different types of exchange-traded funds (ETFs), which present both benefits and risks for investors. They discuss ways in which the risk characteristics of certain ETF products could have broader implications for the financial system, and describe the evolution of ETF market structure and regulation in different jurisdictions as authorities try to mitigate risks related to ETFs.2014-12-10T07:50:07+00:00enExchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks2014-12-10